CMBS

  • CLO manager transfers accelerate overlap

    Sector developments and company hires

    CLO manager transfers accelerate overlap
    When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.

    During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......

    Market Moves 16 December 2020

  • CLO liquidity complexity examined

    Sector developments and company hires

    CLO liquidity complexity examined
    CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.

    CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......

    Market Moves 11 December 2020

  • Disclosure charges settled

    Sector developments and company hires

    Disclosure charges settled
    BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......

    Market Moves 9 December 2020

  • ADI securitisation review underway

    Sector developments and company hires

    ADI securitisation review underway
    The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions that were subject to repayment deferral from their securitisations. In APRA’s view, this represents implicit support, which is inconsistent with Prudential Standard APS 120 Securitisation. APS 120 requires ADIs to be clearly .......

    Market Moves 8 December 2020

  • CMBS value deficiencies compared

    Sector developments and company hires

    CMBS value deficiencies compared
    DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans suggest an average value decline of 24% since origination, only about 17% have a loan-to-value ratio of 100% or higher, resulting in a value deficiency. The analysis also .......

    Market Moves 7 December 2020

  • NPL ABS capital treatment amended

    Sector developments and company hires

    NPL ABS capital treatment amended
    The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. The rule aims to close a gap in the Basel framework by setting out prudent and risk-sensitive capital requirements for NPL ABS.

    The Committee consulted publicly on the technical amendment during the summer (SCI 24 .......

    Market Moves 27 November 2020

  • Jumbo BDC merger agreed

    Sector developments and company hires

    Jumbo BDC merger agreed
    FS/KKR Advisor, a partnership between FS Investments and KKR Credit Advisors (US), has announced that FS KKR Capital Corp and FS KKR Capital Corp II - two publicly traded BDCs advised by FS/KKR - have entered into a definitive merger agreement. The merger will create one of the largest BDCs in the US, with US$14.9bn in .......

    Market Moves 26 November 2020

  • UK STS notification portal launched

    Sector developments and company hires

    UK STS notification portal launched
    The UK FCA has launched its new STS notification platform, with the aim of allowing UK securitisation originators and sponsors to ‘pre-populate’ the STS list in anticipation of the end of the Brexit transition period on 31 December. The FCA states that during the transition period, UK firms should continue to notify ESMA where a .......

    Market Moves 24 November 2020

  • EBA SRT report released

    Sector developments and company hires

    EBA SRT report released
    The EBA has published its long-awaited report on significant risk transfer in securitisations, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation .......

    Market Moves 23 November 2020

  • Generation change?

    Investor, issuer ESG engagement surveyed

    The vast majority (81%) of ABS issuers polled in a recent Structured Finance Association survey currently incorporate ESG in their overall business operations, with 73% doing so in their asset origination and underwriting practices. The survey assesses the extent ESG principles are incorporated at both the enterprise level and at the structured finance business unit level.

    Michael Bright, .......

    News 23 November 2020

  • Highland trio launch new firm

    Sector developments and company hires

    Highland trio launch new firm
    Ex-Highland Capital Management executives Mark Okada, Jack Yang and Trey Parker have launched Sycamore Tree Capital Partners, an asset management firm specialising in private and alternative credit. Okada will serve as ceo, Yang will serve as president and head of business development, and Parker will serve as cio. John Muse and Ken Hersh are strategic .......

    Market Moves 20 November 2020

  • APAC capital advisory formed

    Sector developments and company hires

    APAC capital advisory formed
    Aon has launched an Asia Pacific Capital Advisory unit to deliver a holistic approach to capital optimisation for re/insurers. The initiative follows Aon’s launch of similar units in the UK and US.

    At the same time, actuary Seewon Oh has joined the unit from Smartkarma Innovations, where she was an analyst researching the insurance sector across Asia Pacific. .......

    Market Moves 18 November 2020

  • Maturity wall eyed

    Mall loans face financing difficulties

    US CMBS mall delinquencies have reached approximately US$9.65bn across 93 non-defeased loans secured by regional malls and large anchored retail assets, according to a new DBRS Morningstar analysis. The overall delinquency rate for this cohort of loans is 18.7%, with circa 69.8% of the balance within the 2011-2014 vintage, including the largest delinquent loan – the Mall of America .......

    News 18 November 2020

  • CRE data initiative launched

    Sector developments and company hires

    CRE data initiative launched
    Moody's Analytics has formed a new partnership with The Business School (formerly Cass) at City, University of London, to build a database of loan-level commercial real estate information covering the UK and Europe. The initiative will extend The Business School's UK CRE lending survey under the Moody’s Analytics Data Alliance framework. By participating in this initiative, lenders .......

    Market Moves 17 November 2020

  • Transition revamp?

    Legacy language amendments remain challenging

    Standard Libor fallback language has been agreed and adopted by some new transactions ahead of the benchmark transition next year (SCI passim). However, language amendments for legacy transactions remains challenging.

    “Government agencies have been pretty clear on the fact that Libor will not be extended. For several years now, new transactions have been printed with satisfactory fallback language. .......

    News Analysis 13 November 2020

  • Shortfalls hitting rated CMBS notes

    Sector developments and company hires

    Shortfalls hitting rated CMBS notes
    KBRA reports that over 85% (225) of the 263 deals in its rated US conduit CMBS universe have been impacted by interest shortfalls to varying degrees. Prior to the coronavirus pandemic, shortfalls occurred in just over 40% (110) of the transactions, as of February 2020.

    “The increase is not surprising, as interest shortfalls are .......

    Market Moves 12 November 2020

  • Hertz in line with settlement plan

    Sector developments and company hires

    Hertz in line with settlement plan
    Fitch reports that Hertz had disposed of nearly 170,000 non-program vehicles (NPVs) over the past five months, which is in line with its bankruptcy settlement plan. These dispositions amounted to approximately US$3.3bn of proceeds, with a combined net book value (NBV) of US$2.8bn. Per the Hertz Vehicle Financing II liquidation event, these sales proceeds .......

    Market Moves 6 November 2020

  • Synthetic CMBS eyed

    Pension funds target CRE CRTs

    Pension funds are targeting synthetic securitisations of commercial real estate loans, despite the challenges of the Coronavirus crisis (SCI 9 July). However, going forward, portfolio composition will be key for real money investors.

    According to Chris Redmond, head of manager research at Willis Towers Watson: “Since mid-July, the screamingly cheap has gone and so now we are .......

    News Analysis 6 November 2020

  • CLO library launched

    Sector developments and company hires

    CLO library launched
    Semeris has today launched a document library called Semeris Docs for CLOs. The service initially covers European CLO documents and summaries on over 75 transactions, which will continue to grow and see a US CLO library launched in 1Q21.

    Semeris Docs is built on NLP (natural language processing) and the latest AI techniques, combined with human .......

    Market Moves 4 November 2020

  • Strategic partnership expanded

    Sector developments and company hires

    Strategic partnership expanded
    Pretium has entered into an expanded strategic partnership with American Equity Investment Life Insurance Company (AEL), building upon AEL's prior investment commitments with the firm and increasing total commitments to US$1bn, with pre-agreed terms for expansion to US$2.25bn. The investments will initially be primarily deployed into attractive residential credit assets sourced and managed by Pretium.

    In .......

    Market Moves 3 November 2020

  • ESG philosophy

    Andrew Lennox, senior portfolio manager at the international...

    Q: How and when did the international business of Federated Hermes become involved in the securitisation market?
    A: The Federated Hermes European structured credit team consists of senior portfolio manager Stephane Michel, me and two analysts covering the universe of ABS and CLOs. I arrived at the firm 2.5 years ago.

    One of the attractions of moving to work .......

    The Structured Credit Interview 2 November 2020
×